Standard errors of beta and deterministic terms inside the
cointegration relation.
Notes
See p. 297 in [1]. Using the rule
\[vec(B R) = (B' \otimes I) vec(R)\]
for two matrices B and R which are compatible for multiplication.
This is rule (3) on p. 662 in [1].
References
- 1(1,2)
Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.